On coordinate transformation and grid stretching for sparse grid pricing of basket options
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Publication:952093
DOI10.1016/J.CAM.2007.10.015zbMATH Open1152.91529OpenAlexW2157899933MaRDI QIDQ952093FDOQ952093
Authors: C. C. W. Leentvaar, Cornelis W. Oosterlee 
Publication date: 6 November 2008
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2007.10.015
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Cited In (14)
- Efficientd-multigrid preconditioners for sparse-grid solution of high-dimensional partial differential equations
- AMFR-W numerical methods for solving high-dimensional SABR/LIBOR PDE models
- Option pricing with a direct adaptive sparse grid approach
- A new spectral element method for pricing European options under the Black-Scholes and Merton jump diffusion models
- High-order ADI finite difference schemes for parabolic equations in the combination technique with application in finance
- Higher-order interpolated lattice schemes for multidimensional option pricing problems
- Laplace transformation method for the Black-Scholes equation
- Nearly exact option price simulation using characteristic functions
- A general continuous time Markov chain approximation for multi-asset option pricing with systems of correlated diffusions
- A highly parallel Black--Scholes solver based on adaptive sparse grids
- Reduced models for sparse grid discretizations of the multi-asset Black-Scholes equation
- Semi-implicit integration factor methods on sparse grids for high-dimensional systems
- On the construction of sparse tensor product spaces
- Efficient simulation of the price and the sensitivities of basket options under time-changed Brownian motions
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